There is no "autoexec.bat" file to speak of in Linux. There are different run-levels that correspond to different levels of access to the system.
Each run level has different scripts that it will either run or make sure are not running. These scripts can be found in the /etc/rc.d directory. Each of these scripts can be editted in any text editor as long as you have permission to make changes to these files.
For example, /etc/rc5.d is the directory for run-level 5. In this directory you will find a list of symbolic links to /etc/rcd.d (going off of memory here, since I'm at work on a windows machine) which is where all of the scripts are located. A script for a firewall could be called simply "firewall". In the /etc/rc5.d directory, you would see a sybolic link called S10 firewall, which tells the system to start the firewall script in /etc/rcd.d. The 10 means that it would be the 10th (or so) item in the startup for that run-level, so it would have to start prior to #11 and so on.
If you want to change the way a system starts up at any run-level you can either modify the script, delete the symbolic link, comment it out in that run-level directory, or tell it to kill the process (K10 instead of S10).
That's it in a (wordy) nutshell.